I held a CZ75 once....it was awesome (just to hold it)
I would go with 9mm, cheaper ammo means more practice.
lots of other good gun suggestions in this thread.
my personal faves:
S&W M&P
XD9sc
Glock
and the CZ
I've got an M&P (fullsize), it conceals but I kind of wish the butt was a little smaller